Tail dependence for skew Laplace distribution and skew Cauchy distribution

DOI10.1080/03610926.2014.941494MaRDI QIDQ2817151zbMATH OpenOpenAlexFDO

Authors Jiannan Ning, Wende Yi

Publication date 29 August 2016

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2014.941494

zbMATH Keywords

copulaasymptotic tail dependencegeneralized asymmetric Laplace distributionvariance-mean mixtureskew Cauchy distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Limit theorems in probability theory (60F99)

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Cites work

• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• A directory of coefficients of tail dependence
• A new class of skew-Cauchy distributions
• A new familiy of skewed slash distributions generated by the Cauchy kernel
• An alternative multivariate skew Laplace distribution: properties and estimation
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Statistical properties of parametric estimators for Markov chain vectors based on copula models
• Tail dependence and skew distributions
• Tail dependence for elliptically contoured distributions
• Tail dependence for two skew \(t\) distributions
• Tail dependence of skewed grouped \(t\)-distributions
• The bivariate normal copula function is regularly varying
• The multivariate skew-normal distribution

Cited in

(5)

• Tail dependence of generalized modified skew slash distribution
• Tail dependence of skew \(t\)-copulas
• Tail dependence for two skew \(t\) distributions
• Tail dependence for two skew slash distributions
• Tail dependence functions of two classes of bivariate skew distributions

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